Tagged Questions

I'm reading about Markov pricing kernels in the lecture notes of a course I'm following, but I have a big doubt on an application of Ito's lemma.
The setting is the following:
We define the pricing ...

In Tomas Bjork's Arbitrage Theory in Continuous Time (or here), $\exists$ this proposition
Proposition 2.9 Suppose that a claim X is reachable with replicating portfolio h. Then any price at t=0 of ...

I have some trouble understanding a chapter in George Pennacchi textbook "Asset Pricing". Here the author shows that the square of a Wiener Process $[dz(t)]^2$ converges to $dt$ for infinitesimally ...

Is GNP a continuous, static or a dynamic model ? What about GDP ? What I do know is that it has yearly discrete values. However, when it is modeled, it becomes a continuous graph. So what exactly is ...

Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...